Bootstrapping realized multivariate volatility measures

Prosper Dovonon, Silvia Goncalves (silvia.goncalves@mcgill.ca) and Nour Meddahi

Journal of Econometrics, 2013, vol. 172, issue 1, 49-65

Abstract: We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap literature for regression models subject to error heteroskedasticity, the Edgeworth expansion for the pairs bootstrap that we develop here shows that this method is not second-order accurate. We argue that this is due to the fact that the conditional mean parameters of realized regression models are heterogeneous under stochastic volatility.

Keywords: Realized regression; Realized beta; Realized correlation; Bootstrap; Edgeworth expansions (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Related works:
Working Paper: Bootstrapping realized multivariate volatility measures (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:172:y:2013:i:1:p:49-65

DOI: 10.1016/j.jeconom.2012.08.003

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